Could you provide a little more information -- what version of LInux are you running, what Windows Manager are you running (ie Gnome with Sawmill, KDE, FVWM...)?
Each one is slightly different in the way they work and where to look -- ie KDE uses a program called kcontrol to adjust the settings, others like FVWM you have to do manually in the .fvwmrc (I think that's what it is - its been a while...) to control settings.